rusty_backtest::features::tardis_features

Function calculate_multi_level_queue_imbalance

Source 
pub fn calculate_multi_level_queue_imbalance(
    bids: &SmallVec<[Level; 25]>,
    asks: &SmallVec<[Level; 25]>,
    levels: usize,
) -> f64
Expand description

Queue Imbalance at Multiple Levels

Calculates normalized difference between top bid and ask queues